Compound value Calculation
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I am translating Thinkorswim strategy into to backtrader need help translating TOS built in function in backtrader
https://github.com/sureshja/ThinkOrSwim/blob/master/HeikinAshiSuperTrendStrategy.ts
input aggrPd1 = AggregationPeriod.FOUR_HOURS;
def haop1 = CompoundValue(1, (haop1[1] + hacl1[1]) / 2, (open(period = aggrPd1)[1] + close(period = aggrPd1)[1]) / 2);compound value reference
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Others/CompoundValue -
What have you tied so far?
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import backtrader as bt
class TOS(bt.Strategy):params = (('ST_Period', 7),
('ST_Coeff', 3),
)
def log(self, txt, dt=None):
''' Logging function for this strategy'''
dt = dt or self.datas[0].datetime.datetime(0)
print('%s, %s' % (dt.isoformat(), txt))def init(self):
# Keep a reference to the "close" line in the data[0] dataseriesself.dataopen = self.datas[0].open self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low #calculate HAcl1 self.hacl1 = (self.datas[0].open+self.datas[0].high+self.datas[0].low+self.datas[0].close)/4 # calculate compoundvalue self.haop1 = '' #max value self.hahi1 = max(self.datas[0].open, max(self.hacl1[0],self.haop1[0])) #min value self.halo1 = min(self.datas[0].low, min(self.hacl1[0],self.haop1[0])) #avg of self.hahi1 and self.halo1 self.hahl2_1 = (self.hahi1[0] + self.halo1[0]) / 2; self.hma = bt.indicators.SmoothedMovingAverage(self.datas[0], period=self.params.ST_Period)def next(self):
# Simply log the closing price of the series from the referenceself.log('Open: %.2f Close: %.2f High: %.2f Low: %.2f Hacl1: %.2f HMA: %.2f' % (self.dataopen[0],self.dataclose[0], self.datahigh[0], self.datalow[0],self.hacl1[0],self.hma[0])) -
actually i am new to backtrader so compound value will be calculated using recursive call so i am finding way to do it def init(self): section
here is the reference how compound value calculated if you please can help
https://stackoverflow.com/questions/59003693/understanding-converting-thinkscripts-compoundvalue-function -
import backtrader as bt class TOS(bt.Strategy): params = (('ST_Period', 7), ('ST_Coeff', 3), ) def log(self, txt, dt=None): ''' Logging function for this strategy''' dt = dt or self.datas[0].datetime.datetime(0) print('%s, %s' % (dt.isoformat(), txt)) def init(self): def init(self): # Keep a reference to the "close" line in the data[0] dataseries self.dataopen = self.datas[0].open self.dataclose = self.datas[0].close self.datahigh = self.datas[0].high self.datalow = self.datas[0].low #calculate HAcl1 self.hacl1 = (self.datas[0].open+self.datas[0].high+self.datas[0].low+self.datas[0].close)/4 # calculate compoundvalue self.haop1 = '' #max value self.hahi1 = max(self.datas[0].open, max(self.hacl1[0],self.haop1[0])) #min value self.halo1 = min(self.datas[0].low, min(self.hacl1[0],self.haop1[0])) #avg of self.hahi1 and self.halo1 self.hahl2_1 = (self.hahi1[0] + self.halo1[0]) / 2; self.hma = bt.indicators.SmoothedMovingAverage(self.datas[0], period=self.params.ST_Period) def next(self): # Simply log the closing price of the series from the reference self.log('Open: %.2f Close: %.2f High: %.2f Low: %.2f Hacl1: %.2f HMA: %.2f' % (self.dataopen[0],self.dataclose[0], self.datahigh[0], self.datalow[0],self.hacl1[0],self.hma[0])) -
@run-out
i am also facing issue
line 24, in init
self.hahi1 = max(self.datas[0].open,max(self.hacl1[0],self.haop1[0]))
return self.array[self.idx + ago]
IndexError: array index out of rangedo i need to calculate hacl1 and haop1 in next function ?
#calculate HAcl1 self.hacl1 = (self.datas[0].open+self.datas[0].high+self.datas[0].low+self.datas[0].close)/4 # calculate compoundvalue self.haop1 = self.haop1 = (self.datas[1].open+self.datas[1].high+self.datas[1].low+self.datas[1].close)/4 #max value self.hahi1 = max(self.datas[0].open, max(self.hacl1[0],self.haop1[0])) -
@run-out
i not able to find solution of thinkorswim compoundvalue built-in function
for now i have placed haop1 with# calculate compoundvalue self.haop1 = (self.datas[1].open+self.datas[1].high+self.datas[1].low+self.datas[1].close)/4 -
Could you tell me what's different about what you are doing and backtrader's built in indicator? Your formulas look almost the same.
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@run-out
Thanks for your help i am checking and update you if needed something -
@run-out
indicator i am building is combination of supertrend and heikinashi
i have read this indicator
https://www.backtrader.com/docu/indautoref/#heikinashi
actually this line ha_open
ha_open = (ha_open(-1) + ha_close(-1)) / 2
i need to translate like this
ha_open = CompoundValue(1, (haop1[1] + hacl1[1]) / 2, (open(period = aggrPd1)[1] + close(period = aggrPd1)[1]) / 2);
compound value reference
https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Others/CompoundValue -
@run-out
https://stackoverflow.com/questions/59003693/understanding-converting-thinkscripts-compoundvalue-functioni need to convert this in backtrader and want to calculate ha_open like this
